Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0586
Annualized Std Dev 0.3242
Annualized Sharpe (Rf=0%) 0.1808

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2642
Quartile 1 -0.0079
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0094
Maximum 0.2820
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0204
Skewness -0.6462
Kurtosis 20.0713

Downside Risk

Close
Semi Deviation 0.0150
Gain Deviation 0.0144
Loss Deviation 0.0169
Downside Deviation (MAR=210%) 0.0191
Downside Deviation (Rf=0%) 0.0148
Downside Deviation (0%) 0.0148
Maximum Drawdown 0.7546
Historical VaR (95%) -0.0307
Historical ES (95%) -0.0496
Modified VaR (95%) -0.0285
Modified ES (95%) -0.0285
From Trough To Depth Length To Trough Recovery
2007-10-30 2016-02-12 NA -0.7546 3371 2087 NA
2004-01-06 2005-12-27 2007-09-18 -0.5281 932 499 433
1999-07-02 2000-10-18 2001-05-18 -0.3116 475 329 146
2001-06-08 2001-09-21 2002-03-08 -0.3056 185 70 115
2002-05-16 2002-10-07 2003-01-23 -0.2717 174 100 74

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.9 0.8 0.7 1.4 1 1.7 -0.6 -0.6 -3.8 0.6 -0.6 1.4
2000 -1.2 0 1.8 0 0.7 -1.3 -2.4 0 1.3 1.4 -0.7 1.4 0.9
2001 0.2 -3.6 2.4 3 -0.4 -0.4 -0.2 -0.7 -2 1 -0.3 0.4 -0.6
2002 -0.2 0.7 0.5 -0.5 0.6 -6.5 0.5 0.9 0.7 0.3 0 0 -3.2
2003 -0.5 -0.4 1.9 -1.8 4 3.3 1.3 -0.4 3.8 -4.3 3.1 0.9 11.2
2004 1.1 1.1 -0.9 -3.3 -3.9 -2.1 -1.6 0.5 2 1.7 -0.3 -0.2 -6
2005 0.8 1 0.6 -0.5 -1.1 0 -2.7 0.3 1.1 0.9 2.7 -1.3 1.7
2006 1.8 0.3 -1.5 0.6 0.5 -1.5 -2.7 1 0.1 -0.5 -0.6 0.9 -1.7
2007 0.7 -4.2 0.2 1.5 0.2 -0.9 -3.6 3.8 4.1 -5.5 0.4 1.4 -2.5
2008 2.4 -3.5 3.7 2.2 0.7 -1.5 0.1 0.7 2.7 2.6 -4.8 4.4 9.7
2009 -1.1 -2.3 4.6 2.6 2.5 1 0.9 0.5 -1.6 -3 2 1 7.1
2010 2.9 1.4 2 -1 -2.9 -0.9 -0.1 1.8 0.2 1.3 2.5 3 10.6
2011 1.8 -2 0.9 -0.2 -0.8 -0.2 -0.1 -0.6 -5.2 -1.6 -0.6 1.7 -6.8
2012 0.9 0.5 1.2 0.4 -1.8 2.3 -0.6 0.6 0.5 2.3 1 1.8 9.4
2013 0.7 1 -0.4 -1.3 -0.9 0.6 1.9 0.2 0.6 0.3 1.2 -1.1 2.9
2014 -0.1 -0.2 0.4 0.2 -0.1 0.7 0 -0.4 -0.8 1.1 -2.1 1.1 -0.4
2015 -1.9 0.3 1.1 0.5 0.9 0.8 0.2 -2.2 -0.4 0.3 1.4 1.8 2.7
2016 0.2 2.4 -0.5 -1.4 -0.5 0.7 0.1 0.3 0.3 -0.2 -0.3 1.3 2.3
2017 0.3 0.6 -0.5 0.3 0.7 0 0.7 -0.7 0.2 0.5 0 1.4 3.3
2018 -1 0.1 0.8 -0.6 1 2.5 -1 -0.1 -0.1 3.1 0.3 0.1 5
2019 -0.4 1.6 1.8 0.1 -0.3 1.6 -2.1 -0.2 -1.3 1.3 -2 0.3 0.4
2020 -3.4 -1.7 -1.2 -2.1 1.7 1.7 0.1 1.6 0.3 -1.4 0.4 1.1 -3.3
2021 2.4 1.2 -0.8 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart